Former Formula One driver Wehrlein beat Porsche-powered Avalanche Andretti's Dennis by 0.531 of a second after a tight battle under the floodlights in Diriyah, with Britain's Sam Bird third for Jaguar.
The win was the German's second in the series and came in his 50th start.
Dennis had won with Wehrlein second in the first race of the electric world championship's 'Gen3' era on January 14 but the Briton retained the overall lead by a point thanks to his fastest lap in Mexico City.
The Porsche powertrain domination left Dennis on 44 points with Wehrlein on 43 and Envision Racing's Swiss driver Sebastien Buemi (34), who started Friday's race on pole position but finished fourth, a distant third in the overall standings with 23.
McLaren's Rene Rast (36), who came home fifth, took the bonus point for fastest lap in Diriyah.
Wehrlein started in ninth place but ripped through the pack to take the lead from Bird on the 30th of 39 laps, with Dennis following through four laps later after starting 11th on the grid.
Bird's third place was his first appearance on the podium since a New York race in July 2021.
Diriyah hosts a second race on Saturday.
